A/B Testing
Nothing beats a proper A/B test in production. It's just weird to see such tests over extended periods of time. Fig. 1 below only shows four days but the pattern extends beyond the dates shown.
Within each 1-min interval, I look for ODAX (options on the DAX index) trades and book updates and determine a likely trade trigger on Eurex. Each vertical cut represents a latency histogram (0-50 ns estimated reaction time; reaction t_3a - trigger t_9d - 2720 ns) during such an interval. The color intensity represents the normalized (for aesthetic reasons) count of reactions. Each panel, hence shows the intraday latencies for ODAX for a different day.
We can clearly see a periodic pattern (indicated by the dashed blue lines) where the latencies alternately increase and decrease every 30 minutes - at the same times each day.
Options on the Euro STOXX 50 (OESX), by the way, do not show a similar pattern (and neither do the corresponding futures):
Staff Software Engineer@Ocient
1 个月"I rarely test, but when I do I test in production." There is a name for this concept: Rodeo-Testing :-D
Derivatives Product Development at Eurex
1 个月Interesting finding, Stefan. A little correction - ODAX and OESX are cash settled index options, they do not settle into futures.
Senior FPGA Engineer at Squarepoint Capital
1 个月Very interesting! What is being tested then? How does it impact latency?
Senior software engineer bei Societe Generale Corporate and Investment Banking - SGCIB
1 个月must be something with T7... Can't believe it's caused by a member...